THE IMPACT OF ESG LEADER INDEX PUBLICATION ON ABNORMAL RETURNS AND TRADING VOLUME ACTIVITY ON THE INDONESIA STOCK EXCHANGE

This study examines how the market, particularly investors, responds to the publication of the ESG Leader Index issued by the Indonesia Stock Exchange (IDX), employing an event study methodology. The analysis focuses on two key indicators: Abnormal Return and Trading Volume Activity (TVA), using a 21-day event window spanning from 10 days prior to 10 days following the Index announcement. The findings reveal no statistically significant changes in Abnormal Return or Trading Activity during the event window, suggesting a limited market reaction to ESG-related disclosures in this context. These results challenge the semi-strong form of the efficient market hypothesis, indicating that ESG information, as presented through the ESG Leader Index, may not yet be fully integrated into investor decision-making processes. The study offers empirical insights into the complexities of incorporating sustainability signals into investment strategies within the Indonesian capital market and underscores the need for increased awareness and regulatory reinforcement to enhance the relevance of ESG disclosures.